Sélection de portefeuille via la stratégie de sur-réaction

Portfolio selection via the overreaction strategy

Mohamed Ali Trabelsi

MPRA Paper from University Library of Munich, Germany

Abstract: The inefficiency of the stock markets is often bound to the stake in evidence of anomalies noticed in the behavior of returns by several authors. These anomalies are revealing of inefficiency if their knowledge permits to make a profit ex-ante of strategies based on them. De Bondt and Thaler [1985] disclosed one stock course overreaction: assets having recorded bad performances in the past in stock market would know performances subsequently superior to the average and vice-versa for assets having recorded excellent performances. This article aims at presenting the overreaction strategy adopted by most managers in Tunisia and to put in evidence a new strategy which turned out to be the best one.

Keywords: Assets pricing anomalies; portfolio selection; efficiency; performance; momentum strategies; overreaction (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 G19 (search for similar items in EconPapers)
Date: 2010, Revised 2010
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Published in Revue Sciences de Gestion 73 (2010): pp. 57-71

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